Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0066 |
| Annualized Std Dev | 0.1919 |
| Annualized Sharpe (Rf=0%) | -0.0344 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5553.0000 |
| NAs | 1.0000 |
| Minimum | -0.1426 |
| Quartile 1 | -0.0043 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0047 |
| Maximum | 0.2338 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | 1.3994 |
| Kurtosis | 60.9528 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.6183 |
| Historical VaR (95%) | -0.0153 |
| Historical ES (95%) | -0.0274 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-18 | 2008-12-16 | NA | -0.6183 | 4282 | 1197 | NA |
| 1999-03-22 | 2000-06-02 | 2002-10-08 | -0.3115 | 878 | 296 | 582 |
| 2003-07-03 | 2003-09-04 | 2004-03-08 | -0.1305 | 171 | 44 | 127 |
| 2002-10-10 | 2002-10-28 | 2003-06-12 | -0.1173 | 169 | 13 | 156 |
| 1999-02-02 | 1999-02-03 | 1999-03-16 | -0.0164 | 27 | 2 | 25 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | 0.9 | 0.9 | -0.5 | -0.5 | 0 | -1 | 1 | 0 | 1.1 | 2.1 |
| 2000 | 1.1 | -1.1 | -0.5 | -0.5 | -2.9 | 1.2 | 0 | 0.5 | -1.6 | -0.5 | -1.6 | 1.6 | -4.3 |
| 2001 | 2.9 | 0 | 1 | -0.4 | 0.9 | -0.6 | 1.5 | 0.4 | 1.8 | 1.5 | -0.9 | 2 | 10.4 |
| 2002 | 0.8 | 0.5 | -0.6 | 0.3 | -0.1 | 0.8 | -0.1 | 1.4 | 0.1 | 0.7 | -0.3 | 1.1 | 4.6 |
| 2003 | -0.3 | 0.4 | 0 | -0.2 | 0.5 | -0.3 | 0.4 | 0.1 | 0.7 | -0.3 | -0.3 | 1.3 | 2.1 |
| 2004 | 0.1 | 0.8 | 0.1 | 0.4 | 0.6 | 0.8 | 0.1 | 0.8 | 0.1 | 0.3 | -0.2 | -0.5 | 3.5 |
| 2005 | -1.1 | 0.3 | 1.7 | 0.1 | 0.2 | -1.8 | -0.1 | 0 | 1.2 | 0.2 | -0.1 | 1.4 | 1.8 |
| 2006 | 0.1 | 0.9 | 0.5 | -0.3 | -3.2 | 0.9 | -0.4 | -1.1 | 0.1 | 0.5 | 1 | 0 | -1 |
| 2007 | 0.2 | -0.6 | 0.9 | 0 | -1.3 | -0.3 | 0.2 | 0.2 | 0.1 | 0.1 | 0.9 | -0.1 | 0.2 |
| 2008 | 0.4 | -0.9 | 0.9 | 0.9 | 0.2 | -0.8 | 0.2 | -0.5 | 1 | 1.8 | -3.3 | 0.5 | 0.3 |
| 2009 | 1.3 | 0.2 | 0.4 | -0.5 | -0.3 | 0.5 | 1.5 | 0.2 | -0.6 | 1.2 | 0 | 0.8 | 4.9 |
| 2010 | 1.1 | 0.6 | 0.2 | -0.5 | 0.3 | -0.1 | -0.4 | 0 | 1 | -0.2 | -0.5 | 2.8 | 4.3 |
| 2011 | 1.3 | 0.4 | 0.3 | 0.2 | -0.2 | 0.6 | 4.1 | 0.4 | 0 | -1.3 | 1 | 0 | 6.7 |
| 2012 | 0.7 | 0.2 | 0.4 | 0.4 | 0.2 | -0.1 | -0.8 | -1 | 1.1 | 0.4 | -1.1 | 0.2 | 0.6 |
| 2013 | 0.8 | -0.4 | 0.1 | -0.5 | -2.7 | 0.7 | 0.6 | -0.1 | -0.8 | -0.9 | -0.6 | 0.1 | -3.7 |
| 2014 | 0.2 | -0.2 | -0.6 | 0.9 | -0.2 | -0.8 | 0 | -0.3 | 0.6 | 0.4 | 0.4 | 0.7 | 1.1 |
| 2015 | 0.1 | 0.9 | 0.4 | -0.1 | 0.8 | -0.5 | 1.1 | 1.2 | -1.4 | -0.7 | 0.2 | -0.6 | 1.4 |
| 2016 | 0.1 | 1.5 | 0.1 | 0.5 | 0.4 | 0.2 | 0.1 | 1.1 | -0.2 | -0.2 | -1.4 | 0.1 | 2.3 |
| 2017 | -0.2 | -0.1 | 0.1 | 0.2 | -0.2 | 0 | 1.4 | -0.4 | 0.2 | -0.5 | -0.2 | -0.2 | 0.2 |
| 2018 | 0 | 0.1 | 0.3 | 0.4 | 0.1 | 0.2 | 0 | 0.3 | -0.3 | 0.4 | -0.3 | 0.6 | 1.8 |
| 2019 | 0.1 | 0.1 | 0.9 | -0.1 | -0.2 | -0.2 | 0.9 | -0.7 | -0.4 | 0.4 | 0.2 | 0.6 | 1.5 |
| 2020 | 0 | -2 | -4 | 1.2 | 0.8 | -0.6 | 0.3 | 0.5 | 0.5 | -1.4 | -0.5 | 0.1 | -5 |
| 2021 | 0.4 | 1 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
